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A new empirical reduced-form model for credit rating transitions is introduced. It is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors. The model has a generalized semi-Markov structure designed to accommodate many of...
Persistent link: https://www.econbiz.de/10011255831
estimate the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and …
Persistent link: https://www.econbiz.de/10011257078
investigate the differences in banks' responses to monetary policy shocks across bank size, liquidity, and type, i ….e., conventional versus Islamic, in Pakistan between 2002:II to 2010:I. We find that following a monetary contraction, small banks with …
Persistent link: https://www.econbiz.de/10011257377
. First, Bank of America, JP Morgan and Wells Fargo are consistently in the top 10 throughout the sample. Citigroup and Lehman …
Persistent link: https://www.econbiz.de/10011255476
This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activity over the day and within subperiods...
Persistent link: https://www.econbiz.de/10011255568
We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock market illiquidity variable adds to the well established Cochrane-Piazzesi and Ludvigson-Ng factors. It explains 10%, 9%, 7%, and 7% of the one-year-ahead variation in the excess...
Persistent link: https://www.econbiz.de/10011256063
The stability of the financial system at higher loss levels is either characterized by asymptotic dependence or asymptotic independence. If asymptotically independent, the dependency, when present, eventually dies out completely at the more extreme quantiles, as in case of the multivariate...
Persistent link: https://www.econbiz.de/10011256102
We propose a regulatory approach for restricting debt financing as an amplification mechanism across the financial system. A small stylised model illustrates the trade-off between static and time varying limits on leverage in dampening the financial cycle. The policy section proposes its...
Persistent link: https://www.econbiz.de/10011256230
We study the relevance of the cross-sided externality between liquidity makers and takers from the two-sided market perspective. We use exogenous changes in the make/take fee structure, minimum tick-size and technological shocks for liquidity takers and makers, as experiments to identify...
Persistent link: https://www.econbiz.de/10011257182
Forthcoming in the 'Journal of Financial and Quantitative Analysis'.<P> We use the introduction and the subsequent removal of the flash order facility (an actionable indication of interest, IOI) from the NASDAQ as a natural experiment to investigatethe impact of voluntary disclosure of trading...</p>
Persistent link: https://www.econbiz.de/10011257248